Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0030
Annualized Std Dev 0.1923
Annualized Sharpe (Rf=0%) 0.0154

Row

Daily Return Statistics

Close
Observations 3098.0000
NAs 1.0000
Minimum -0.0774
Quartile 1 -0.0061
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0066
Maximum 0.0689
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0001
Stdev 0.0121
Skewness -0.1327
Kurtosis 4.1142

Downside Risk

Close
Semi Deviation 0.0086
Gain Deviation 0.0084
Loss Deviation 0.0086
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0086
Downside Deviation (0%) 0.0086
Maximum Drawdown 0.4956
Historical VaR (95%) -0.0188
Historical ES (95%) -0.0281
Modified VaR (95%) -0.0193
Modified ES (95%) -0.0311
From Trough To Depth Length To Trough Recovery
2009-04-07 2011-10-28 2014-10-31 -0.4956 1404 648 756
2015-06-08 2016-08-18 NA -0.3931 1458 304 NA
2008-11-28 2008-12-17 2009-02-24 -0.1639 59 14 45
2009-03-05 2009-03-19 2009-04-02 -0.0987 21 11 10
2014-12-08 2015-01-15 2015-05-26 -0.0870 116 27 89

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA -4.5 1.2 -3.4
2009 0.2 -1.5 -0.4 1.6 2.7 0.7 -1.7 -0.4 0 -3 0.3 1 -0.6
2010 0.9 0.4 0.7 -0.3 0.4 -1.7 -1 1.1 -0.4 0.3 1.1 -1 0.5
2011 -1.8 0.3 2.2 -1 -1.4 0.7 0.4 0.5 1 0.4 0.4 -1.7 -0.1
2012 0 -0.4 0.9 0.9 -0.6 1.2 0.9 -0.9 -0.1 0.8 0.8 1.6 5
2013 3.2 2 -1.8 -0.3 -0.6 0.8 3.3 -0.1 -1 0.8 0.5 0.4 7.3
2014 -1 -0.7 0.9 0.1 0.1 0.5 -0.6 0.7 -1.2 5.4 -0.7 0.4 3.7
2015 -1.5 0.3 -0.4 1.2 1.1 1.2 -0.3 -2.5 -0.1 -0.7 -0.4 -0.6 -2.6
2016 0.3 2 -1.6 -3.1 -2.2 -1.4 0.5 -0.4 0.7 -1.6 -0.7 0.5 -6.8
2017 0.4 2.4 -0.9 0.6 1.1 0.7 0.1 0.7 0.1 0.9 -0.8 -0.3 5.1
2018 0.3 -0.9 -1.1 1.1 1.5 0.2 -0.3 0.2 0.8 -0.2 0.1 -1.1 0.6
2019 1.4 1 1 0.1 -2.3 0.8 -2.7 -0.5 -0.7 0.4 -0.2 -0.3 -2.1
2020 -0.9 -3.8 -0.8 -0.9 -0.3 -0.9 2 0.2 0 0.1 -0.3 0 -5.6
2021 0.4 0.4 0 NA NA NA NA NA NA NA NA NA 0.9

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart